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    Non-uniqueness of deep parameters and shocks in estimated DSGE models: a health warning

    Wright, Stephen (2012) Non-uniqueness of deep parameters and shocks in estimated DSGE models: a health warning. Working Paper. Birkbeck, University of London, London, UK.

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    Abstract

    Estimation of dynamic stochastic general equilibrium (DSGE)models using state space methods implies vector autoregressive moving average (VARMA)representations of the observables. Following Lippi and Reichlin’s (1994)analysis of nonfundamentalness, this note highlights the potential dangers of end of non-uniqueness, both of estimates of deep parameters and of structural innovations.

    Metadata

    Item Type: Monograph (Working Paper)
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Research Centre: Applied Macroeconomics, Birkbeck Centre for
    Depositing User: Sarah Hall
    Date Deposited: 13 May 2014 09:53
    Last Modified: 27 Jul 2019 16:29
    URI: http://eprints.bbk.ac.uk/id/eprint/9724

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